Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data

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• 作者：Stavros Degiannakis^a ; ^b ; ^{s.degiannakis@panteion.gr} ; Artemis Potamia^a
• 关键词：G17 ; G15 ; C15 ; C32 ; C53
• 刊名：International Review of Financial Analysis
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：49
• 期：Complete
• 页码：176-190
• 全文大小：985 K
• 卷排序：49

文摘

The forecasting performance of inter-day and intra-day volatility models is investigated. Intra-day information does not appear to improve the accuracy of the VaR and ES forecasts. The inter-day specification is a safe model to adequately predict market risk measures at a 95% CL. The multi period VaR and ES forecasts are more accurate at the 97.5% CL (suggested in Basel III, 2013). GARCH-skT produces reasonable multiple-days-ahead VaR and ES forecasts.